Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0643
Annualized Std Dev 0.2192
Annualized Sharpe (Rf=0%) 0.2934

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.1134
Quartile 1 -0.0058
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0069
Maximum 0.1265
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0138
Skewness -0.1642
Kurtosis 7.7458

Downside Risk

Close
Semi Deviation 0.0100
Gain Deviation 0.0096
Loss Deviation 0.0106
Downside Deviation (MAR=210%) 0.0146
Downside Deviation (Rf=0%) 0.0098
Downside Deviation (0%) 0.0098
Maximum Drawdown 0.6334
Historical VaR (95%) -0.0212
Historical ES (95%) -0.0331
Modified VaR (95%) -0.0208
Modified ES (95%) -0.0350
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-03-11 -0.6334 1363 355 1008
2000-12-12 2002-10-09 2006-02-22 -0.4477 1304 456 848
2020-02-13 2020-03-23 2020-11-10 -0.4278 189 27 162
2018-01-29 2018-12-24 2019-11-04 -0.2519 446 229 217
2015-02-23 2016-01-20 2016-07-13 -0.1745 351 230 121

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.1 -0.1 1.1 -1.2 0.1 0.1 -1.2 0.3 -1.4 -2.6 0.8 1.5 -2.5
2000 -0.7 -0.5 0.2 2.3 0.8 0.2 0.8 0.9 -0.7 0.1 0.9 -0.6 3.5
2001 -1.3 -0.7 0.3 0.9 -0.3 -1.1 0.6 0.9 -0.9 2.1 -0.2 -1.2 -1
2002 -0.8 2.3 0 0.3 0.8 -2.2 -2.2 0.1 4.4 1.3 -0.2 0.9 4.6
2003 1.7 0.3 1.4 -1.5 2.3 0.2 -0.8 0 2 0.2 1.5 0.1 7.5
2004 -0.2 0.5 0.6 -0.8 0 -1.5 -0.1 0 1.4 0.3 1.7 -0.4 1.6
2005 0.3 0.3 -1 1.2 0.4 0.3 -0.1 -0.4 0.5 -0.3 1.1 -0.6 1.8
2006 0.9 0.8 0 0.3 1 0 -0.6 0.7 -0.5 -0.5 -0.6 -0.7 0.8
2007 0.9 -0.4 -0.1 0.6 0.4 0.4 0.7 1.5 1.3 -1.7 0.4 -0.5 3.5
2008 2.3 -2.7 2.3 0.6 0.6 -0.1 -0.1 -1.1 -2.4 3.3 -8.2 2.4 -3.5
2009 -2.1 -2.5 2.2 1.1 4.6 0.4 0.4 -1.7 -2.5 -3.4 1.6 -1.2 -3.4
2010 1.5 1.3 0.6 -2.4 -2.2 -0.3 0.4 4 0.1 0 2.6 0.1 5.7
2011 1.4 -2.1 0.8 0.4 -3.3 1.8 -0.6 -1.6 -3.3 -3 -0.3 -0.6 -10.2
2012 1.1 0.3 0.4 0.3 -2.8 3.5 -0.7 0.6 0.5 1.8 -0.2 1.8 6.8
2013 1 -0.2 -1.2 -1.3 -1 1 1.7 -0.6 0.6 0.7 -0.3 0.6 1.1
2014 -0.5 0.2 0.7 -0.2 -0.1 0.6 -0.1 -0.1 -1.9 1 -1.3 -1 -2.7
2015 -1.6 -0.5 -0.7 1.3 0.4 0.5 -0.1 -2.7 -0.2 -0.1 0.5 -0.7 -3.9
2016 -0.2 2 0.5 -0.6 0.1 0.3 -0.1 0.1 0.9 -0.9 0.7 -0.4 2.3
2017 -0.2 1.7 -0.4 -0.3 0.6 0.8 -0.3 0.1 0.3 -0.1 -1.2 -0.2 0.8
2018 -0.2 -2 1.5 -0.5 1.1 0.2 -1.4 0.1 0.9 1.8 1 1 3.5
2019 0.2 0.1 2.1 -0.7 -1.4 0.1 -1.9 0.4 -2.4 2.2 -0.5 -0.1 -2
2020 -2.3 -1.8 -4.5 -3 0.2 -0.5 -0.4 1 -0.3 -0.1 -0.2 0.5 -11
2021 1 2.6 -0.8 NA NA NA NA NA NA NA NA NA 2.8

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart